Analysis | Market fragmentation 10BPS liquidity in €000’s Q1 2013 (change on Q4 2012)
Primary CHIX BATE TRQX BURG QMTF XEQT XHFT
1 € 395.70 1.10 2 € 224.50 44.80 € 62.90 11.60 € 76.60 23.40
3 € 35.50 1.80
€ 25.50 -7.10 € 19.50
-5.40
The amount of liquidity available at the top of the order book (within 10 BPS of mid price) again increased on all Primary venues in the last three
The LiquidMetrix Volatility Indicator provides a measure of high-frequency market volatility based upon 30 second price movements.
Q4 2012 Q1 2013
€ 23.40 6.10 € 7.40 -48.20 € 2.40 -6.00 € 8.40 5.32
months. The majority of MTFs also enjoyed an increase in liquidity, with the exception of BATS on the SMI.
Based on European fragmented stocks
1.33
1.25 Change -0.08
1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4
01-Jan-12 01-Apr-12 01-Jul-12
Intraday market volatility continued to drop at the end of 2012, but started to increase again at the beginning of 2013 coinciding with market uncertainly and the Italian elections. The volatility from the beginning of the year has varied
01-Oct-12 01-Jan-13
considerably reflecting the various shifts in market sentiments we have had. Even with the recent uptick, volatility is still considerably lower than it was during spring / summer 2012.
1 2
3
€ 618.80 72.40 € 213.40 48.30 € 56.90 13.90 € 103.50 24.70
DAX
1 € 898.90 64.40 2 € 301.40 53.10 € 95.90 31.90 € 98.30 20.00
3 SMI
1 €1,062.90 53.90 2 € 436.20 1.30 € 233.90 -4.80
3 € 236.20 26.20
1 2 3
€ 309.00 98.10 € 71.60 29.60 € 23.00 11.30 € 10.80 2.65
1 € 455.40 120.50 2 € 225.20 69.90 € 82.70 20.70 € 72.20 22.90 € 97.50 23.50 € 35.70 4.90
3
Best Execution | Spring 2013
83
Volatility
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